April was a strong month for volatility trading, so I wanted to take a moment to share a few personal observations and highlight what I’m currently focused on: 1) “Have you pivoted your view on a bearish environment because of the snapback in equities?” No, I haven’t. In fact, this type of price action further affirms my thesis. If equities had based out at lower levels and then gradually moved higher on the back of genuine positive developments, I’d have a different view. But during every major market decline, you tend to see these face-ripping rallies that completely shrug off bad headlines, it’s a hallmark of stressed market regimes. There’s actual data on this dynamic, so feel free to ignore any anecdotal takes. My bearish lean has nothing to do with some macro doom thesis. It’s purely a recognition that the reflexive forces needed to drive equities to new highs aren’t as potent right now. The simplest way to explain this to someone outside the institutional space is this: leverage is being pulled out of the system due to heightened cross-asset volatility and policy uncertainty. 2) What am I interested in right now? There are still pockets of underpriced equity vol, here’s where I’m focused (without giving away too much detail): • 1yr–2yr deep OTM S&P puts (20% down or so): Structured product issuance continues to weigh heavily on vols at these levels. As we grind lower, we get closer to some key knock-in barriers. More importantly, if the market does break, these long-dated puts offer substantial payout potential. • 6M–8M S&P deep upside calls: Despite the rebound in equities, vol pricing for scenarios where the S&P finishes the year up ~10% is still way too cheap. “But Kris, aren’t you bearish?” Yes, but a vol trader’s job is to inventory cheap optionality when the market doesn’t want it. As spot drifts lower, every sharp vol desk with sound risk management is quietly buying “slide risk” to protect against violent reversals. If I’m dead wrong and Trump ushers in some miracle bull cycle (unlikely, but not impossible), this gives me convex upside cover. • 8M–1yr high yield credit tail trades: If things play out how I suspect, this won’t be a soft unwind—high yield could break hard. Think of it like this: What are the chances a plane crashes at 34,000 feet? Pretty low. What are the chances it crashes at 35,000 feet one second after it’s already nosediving? Pretty high.